579 lines
18 KiB
Svelte
579 lines
18 KiB
Svelte
<script lang="ts">
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import {
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abbreviateNumberWithColor,
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abbreviateNumber,
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monthNames,
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} from "$lib/utils";
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import { screenWidth, displayCompanyName } from "$lib/store";
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import { onMount } from "svelte";
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import TableHeader from "$lib/components/Table/TableHeader.svelte";
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import UpgradeToPro from "$lib/components/UpgradeToPro.svelte";
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import { Chart } from "svelte-echarts";
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import { init, use } from "echarts/core";
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import { LineChart, BarChart } from "echarts/charts";
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import {
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GridComponent,
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TooltipComponent,
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LegendComponent,
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} from "echarts/components";
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import { CanvasRenderer } from "echarts/renderers";
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use([
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LineChart,
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BarChart,
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GridComponent,
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TooltipComponent,
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LegendComponent,
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CanvasRenderer,
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]);
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export let data;
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let rawData = data?.getData || [];
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rawData = rawData?.map((item) => ({
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...item,
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volatilitySpread:
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item?.rv !== null ? (item?.iv - item?.rv)?.toFixed(2) : null,
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}));
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const avgIV =
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rawData?.reduce((acc, entry) => acc + entry.iv, 0) / rawData?.length;
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const avgRV =
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rawData?.reduce((acc, entry) => acc + entry.rv, 0) / rawData?.length;
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let displayList = rawData?.slice(0, 150);
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let timePeriod = "3M";
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let options = null;
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function filterDataByPeriod(historicalData, period = "3M") {
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const currentDate = new Date();
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let startDate = new Date();
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// Calculate the start date based on the period input
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switch (period) {
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case "3M":
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startDate.setMonth(currentDate.getMonth() - 3);
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break;
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case "6M":
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startDate.setMonth(currentDate.getMonth() - 6);
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break;
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case "1Y":
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startDate.setFullYear(currentDate.getFullYear() - 1);
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break;
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default:
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throw new Error(`Unsupported period: ${period}`);
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}
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// Filter the data based on the calculated start date
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let filteredData = historicalData?.filter((item) => {
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if (!item?.date) return false;
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const itemDate = new Date(item.date);
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return itemDate >= startDate && itemDate <= currentDate;
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});
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filteredData?.forEach((entry) => {
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const matchingData = data?.getHistoricalPrice?.find(
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(d) => d?.time === entry?.date,
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);
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if (matchingData) {
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entry.price = matchingData?.close;
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}
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});
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// Extract the dates and gamma values from the filtered data
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const dateList = filteredData?.map((item) => item.date);
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const impliedVolatility = filteredData?.map((item) => item?.iv);
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const realizedVolatility = filteredData?.map((item) => item?.rv);
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const volatilitySpread = filteredData?.map(
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(item) => item?.volatilitySpread,
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);
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const priceList = filteredData?.map((item) => item.price);
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return {
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dateList,
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impliedVolatility,
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realizedVolatility,
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volatilitySpread,
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priceList,
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};
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}
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function plotData() {
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const data = rawData?.sort((a, b) => new Date(a?.date) - new Date(b?.date));
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const {
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dateList,
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impliedVolatility,
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realizedVolatility,
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volatilitySpread,
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priceList,
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} = filterDataByPeriod(data, timePeriod);
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const options = {
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animation: false,
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tooltip: {
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trigger: "axis",
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hideDelay: 100,
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borderColor: "#969696", // Black border color
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borderWidth: 1, // Border width of 1px
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backgroundColor: "#313131", // Optional: Set background color for contrast
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textStyle: {
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color: "#fff", // Optional: Text color for better visibility
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},
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formatter: function (params) {
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// Get the timestamp from the first parameter
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const timestamp = params[0].axisValue;
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// Initialize result with timestamp
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let result = timestamp + "<br/>";
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// Add each series data
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params?.forEach((param) => {
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const marker =
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'<span style="display:inline-block;margin-right:4px;' +
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"border-radius:10px;width:10px;height:10px;background-color:" +
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param.color +
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'"></span>';
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result +=
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marker +
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param.seriesName +
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": " +
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abbreviateNumber(param.value) +
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"<br/>";
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});
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return result;
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},
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axisPointer: {
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lineStyle: {
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color: "#fff",
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},
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},
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},
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silent: true,
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grid: {
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left: $screenWidth < 640 ? "5%" : "4%",
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right: $screenWidth < 640 ? "5%" : "0%",
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bottom: "10%",
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containLabel: true,
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},
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xAxis: [
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{
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type: "category",
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data: dateList,
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axisLabel: {
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color: "#fff",
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formatter: function (value) {
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// Assuming dates are in the format 'yyyy-mm-dd'
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const dateParts = value.split("-");
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const monthIndex = parseInt(dateParts[1]) - 1; // Months are zero-indexed in JavaScript Date objects
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const year = parseInt(dateParts[0]);
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const day = parseInt(dateParts[2]);
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return `${day} ${monthNames[monthIndex]} ${year}`;
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},
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},
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},
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],
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yAxis: [
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{
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type: "value",
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splitLine: {
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show: false, // Disable x-axis grid lines
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},
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axisLabel: {
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show: false, // Hide y-axis labels
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},
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},
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{
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type: "value",
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splitLine: {
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show: false, // Disable x-axis grid lines
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},
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position: "right",
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axisLabel: {
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show: false, // Hide y-axis labels
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},
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},
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],
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series: [
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{
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name: "Price",
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type: "line",
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data: priceList,
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yAxisIndex: 1,
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lineStyle: { width: 2 },
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itemStyle: {
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color: "#fff",
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},
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smooth: true,
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showSymbol: false,
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},
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{
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name: "Implied Volatility",
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type: "line",
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lineStyle: { width: 2 },
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data: impliedVolatility,
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itemStyle: {
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color: "#FAD776",
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},
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smooth: true,
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showSymbol: false,
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},
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{
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name: "Realized Volatility",
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type: "line",
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lineStyle: { width: 2 },
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data: realizedVolatility,
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itemStyle: {
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color: "#007BFF",
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},
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smooth: true,
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showSymbol: false,
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},
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{
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name: "Vol. Spread",
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type: "bar",
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lineStyle: { width: 2 },
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data: volatilitySpread,
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itemStyle: {
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color: "#9B5DC4",
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},
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smooth: true,
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showSymbol: false,
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},
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],
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};
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return options;
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}
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function formatDate(dateStr) {
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// Parse the input date string (YYYY-mm-dd)
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var date = new Date(dateStr);
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// Get month, day, and year
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var month = date.getMonth() + 1; // Month starts from 0
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var day = date.getDate();
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var year = date.getFullYear();
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// Extract the last two digits of the year
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var shortYear = year.toString().slice(-2);
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// Add leading zeros if necessary
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month = (month < 10 ? "0" : "") + month;
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day = (day < 10 ? "0" : "") + day;
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var formattedDate = month + "/" + day + "/" + year;
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return formattedDate;
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}
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async function handleScroll() {
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const scrollThreshold = document.body.offsetHeight * 0.8; // 80% of the website height
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const isBottom = window.innerHeight + window.scrollY >= scrollThreshold;
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if (isBottom && displayList?.length !== rawData?.length) {
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const nextIndex = displayList?.length;
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const filteredNewResults = rawData?.slice(nextIndex, nextIndex + 50);
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displayList = [...displayList, ...filteredNewResults];
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}
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}
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onMount(() => {
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window.addEventListener("scroll", handleScroll);
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return () => {
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window.removeEventListener("scroll", handleScroll);
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};
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});
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$: columns = [
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{ key: "date", label: "Date", align: "left" },
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{
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key: "changesPercentage",
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label: "% Change",
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align: "right",
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},
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{
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key: "putCallRatio",
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label: "P/C",
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align: "right",
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},
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{
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key: "total_open_interest",
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label: "Total OI",
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align: "right",
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},
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{
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key: "changesPercentageOI",
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label: "% OI Change",
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align: "right",
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},
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{
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key: "iv",
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label: "Implied Volatility",
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align: "right",
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},
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{
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key: "rv",
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label: "Realized Vol.",
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align: "right",
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},
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{ key: "volatilitySpread", label: "Vol. Spread", align: "right" },
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];
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$: sortOrders = {
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date: { order: "none", type: "date" },
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changesPercentage: { order: "none", type: "number" },
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putCallRatio: { order: "none", type: "number" },
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iv: { order: "none", type: "number" },
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rv: { order: "none", type: "number" },
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volatilitySpread: { order: "none", type: "number" },
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total_open_interest: { order: "none", type: "number" },
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changesPercentageOI: { order: "none", type: "number" },
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};
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const sortData = (key) => {
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// Reset all other keys to 'none' except the current key
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for (const k in sortOrders) {
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if (k !== key) {
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sortOrders[k].order = "none";
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}
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}
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// Cycle through 'none', 'asc', 'desc' for the clicked key
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const orderCycle = ["none", "asc", "desc"];
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let originalData = rawData?.sort(
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(a, b) => new Date(b?.date) - new Date(a?.date),
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);
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const currentOrderIndex = orderCycle.indexOf(sortOrders[key].order);
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sortOrders[key].order =
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orderCycle[(currentOrderIndex + 1) % orderCycle.length];
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const sortOrder = sortOrders[key].order;
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// Reset to original data when 'none' and stop further sorting
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if (sortOrder === "none") {
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originalData = [...rawData]; // Reset originalData to rawDataVolume
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displayList = originalData;
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return;
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}
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// Define a generic comparison function
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const compareValues = (a, b) => {
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const { type } = sortOrders[key];
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let valueA, valueB;
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switch (type) {
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case "date":
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valueA = new Date(a[key]);
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valueB = new Date(b[key]);
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break;
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case "string":
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valueA = a[key].toUpperCase();
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valueB = b[key].toUpperCase();
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return sortOrder === "asc"
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? valueA.localeCompare(valueB)
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: valueB.localeCompare(valueA);
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case "number":
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default:
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valueA = parseFloat(a[key]);
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valueB = parseFloat(b[key]);
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break;
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}
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if (sortOrder === "asc") {
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return valueA < valueB ? -1 : valueA > valueB ? 1 : 0;
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} else {
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return valueA > valueB ? -1 : valueA < valueB ? 1 : 0;
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}
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};
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// Sort using the generic comparison function
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displayList = [...originalData].sort(compareValues);
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};
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$: {
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if (typeof window !== "undefined" && timePeriod) {
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options = plotData();
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}
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}
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</script>
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<div class="sm:pl-7 sm:pb-7 sm:pt-7 w-full m-auto mt-2 sm:mt-0">
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<h2
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class=" flex flex-row items-center text-white text-xl sm:text-2xl font-bold w-fit"
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>
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Volatility Exposure
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</h2>
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<div class="w-full mt-2">
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{$displayCompanyName} has experienced an average implied volatility of {avgIV?.toFixed(
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2,
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)} and an average realized volatility of {avgRV?.toFixed(2)}.
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</div>
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<div class="w-full overflow-hidden m-auto mt-5">
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{#if options !== null}
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<div class="app w-full relative">
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<div class="flex justify-start space-x-2 absolute right-0 top-0 z-10">
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{#each ["3M", "6M", "1Y"] as item, index}
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{#if data?.user?.tier === "Pro" || index === 0}
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<label
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on:click={() => (timePeriod = item)}
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class="px-3 py-1 text-sm {timePeriod === item
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? 'bg-white text-black '
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: 'text-white bg-table text-opacity-[0.6]'} transition ease-out duration-100 sm:hover:bg-white sm:hover:text-black rounded-md cursor-pointer"
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>
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{item}
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</label>
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{:else if data?.user?.tier !== "Pro"}
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<a
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href="/pricing"
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class="px-3 py-1 text-sm flex flex-row items-center {timePeriod ===
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item
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? 'bg-white text-black '
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: 'text-white bg-table text-opacity-[0.6]'} transition ease-out duration-100 sm:hover:bg-white sm:hover:text-black rounded-md cursor-pointer"
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>
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{item}
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<svg
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class="ml-1 -mt-w-3.5 h-3.5 inline-block"
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xmlns="http://www.w3.org/2000/svg"
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viewBox="0 0 24 24"
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><path
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fill="#A3A3A3"
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d="M17 9V7c0-2.8-2.2-5-5-5S7 4.2 7 7v2c-1.7 0-3 1.3-3 3v7c0 1.7 1.3 3 3 3h10c1.7 0 3-1.3 3-3v-7c0-1.7-1.3-3-3-3M9 7c0-1.7 1.3-3 3-3s3 1.3 3 3v2H9z"
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/></svg
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>
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</a>
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{/if}
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{/each}
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</div>
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<Chart {init} {options} class="chart" />
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</div>
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{:else}
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<div class="flex justify-center items-center h-80">
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<div class="relative">
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<label
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class="bg-primary rounded-md h-14 w-14 flex justify-center items-center absolute top-1/2 left-1/2 transform -translate-x-1/2 -translate-y-1/2"
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>
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<span
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class="loading loading-spinner loading-md sm:loading-[1rem] text-gray-400"
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></span>
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</label>
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</div>
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</div>
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{/if}
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</div>
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<div class="w-full overflow-x-scroll text-white">
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<table
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class="w-full table table-sm table-compact bg-table border border-gray-800 rounded-none sm:rounded-md m-auto overflow-x-auto"
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>
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<thead>
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<TableHeader {columns} {sortOrders} {sortData} />
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</thead>
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<tbody>
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{#each data?.user?.tier === "Pro" ? displayList : displayList?.slice(0, 3) as item, index}
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<tr
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class="sm:hover:bg-[#245073] sm:hover:bg-opacity-[0.2] odd:bg-odd border-b border-gray-800 {index +
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1 ===
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displayList?.slice(0, 3)?.length && data?.user?.tier !== 'Pro'
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? 'opacity-[0.1]'
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: ''}"
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>
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<td
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class="text-white text-sm sm:text-[1rem] text-start whitespace-nowrap"
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>
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{formatDate(item?.date)}
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</td>
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<td class="text-white text-sm sm:text-[1rem] text-end">
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{#if item?.changesPercentage >= 0 && item?.changesPercentage !== null}
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<span class="text-[#00FC50]"
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>+{item?.changesPercentage >= 1000
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? abbreviateNumberWithColor(item?.changesPercentage)
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: item?.changesPercentage?.toFixed(2)}%</span
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>
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{:else if item?.changesPercentage < 0 && item?.changesPercentage !== null}
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<span class="text-[#FF2F1F]"
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>{item?.changesPercentage <= -1000
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? abbreviateNumberWithColor(item?.changesPercentage)
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: item?.changesPercentage?.toFixed(2)}%
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</span>
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{:else}
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n/a
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{/if}
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</td>
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<td class="text-sm sm:text-[1rem] text-end text-white">
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{item?.putCallRatio}
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</td>
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<td class="text-sm sm:text-[1rem] text-end text-white">
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{@html abbreviateNumberWithColor(
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item?.total_open_interest,
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false,
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true,
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)}
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</td>
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<td class="text-white text-sm sm:text-[1rem] text-end">
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{#if item?.changesPercentageOI >= 0 && item?.changesPercentageOI !== null}
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<span class="text-[#00FC50]"
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>+{item?.changesPercentageOI >= 1000
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? abbreviateNumberWithColor(item?.changesPercentageOI)
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: item?.changesPercentageOI?.toFixed(2)}%</span
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>
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{:else if item?.changesPercentageOI < 0 && item?.changesPercentageOI !== null}
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<span class="text-[#FF2F1F]"
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>{item?.changesPercentageOI <= -1000
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? abbreviateNumberWithColor(item?.changesPercentageOI)
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: item?.changesPercentageOI?.toFixed(2)}%
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</span>
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{:else}
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<span class="text-white"> n/a </span>
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{/if}
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</td>
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|
|
<td
|
|
class="text-white text-sm sm:text-[1rem] text-end whitespace-nowrap"
|
|
>
|
|
{item?.iv}
|
|
</td>
|
|
<td
|
|
class="text-white text-sm sm:text-[1rem] text-end whitespace-nowrap"
|
|
>
|
|
{item?.rv ?? "n/a"}
|
|
</td>
|
|
|
|
<td
|
|
class="text-white text-sm sm:text-[1rem] text-end whitespace-nowrap"
|
|
>
|
|
{item?.volatilitySpread ?? "n/a"}
|
|
</td>
|
|
</tr>
|
|
{/each}
|
|
</tbody>
|
|
</table>
|
|
</div>
|
|
|
|
<UpgradeToPro {data} />
|
|
</div>
|
|
|
|
<style>
|
|
.app {
|
|
height: 400px;
|
|
width: 100%;
|
|
}
|
|
|
|
@media (max-width: 560px) {
|
|
.app {
|
|
width: 100%;
|
|
height: 300px;
|
|
}
|
|
}
|
|
|
|
.chart {
|
|
width: 100%;
|
|
}
|
|
</style>
|